Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0046
Annualized Std Dev 0.1585
Annualized Sharpe (Rf=0%) 0.0288

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1570
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.1844
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0100
Skewness 0.1525
Kurtosis 44.8920

Downside Risk

Close
Semi Deviation 0.0072
Gain Deviation 0.0079
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0072
Downside Deviation (0%) 0.0072
Maximum Drawdown 0.6508
Historical VaR (95%) -0.0126
Historical ES (95%) -0.0236
Modified VaR (95%) -0.0069
Modified ES (95%) -0.0069
From Trough To Depth Length To Trough Recovery
2006-12-06 2008-12-16 NA -0.6508 3596 511 NA
1999-01-08 2000-03-16 2005-01-19 -0.2717 1516 300 1216
2005-02-07 2005-03-28 2005-06-23 -0.0971 96 34 62
2006-01-12 2006-02-13 2006-08-01 -0.0566 139 22 117
2005-09-30 2005-10-19 2005-12-20 -0.0480 57 14 43

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 0.4 0 0 0 0 0.5 0.5 -0.5 -1.4 -0.6
2000 0.5 -1.5 0.5 -0.5 0.5 0 0 0.5 0.5 -0.3 2.6 0 2.9
2001 -0.3 0.1 0.6 -0.1 0.2 0.5 0 -0.4 0.3 0.8 -0.7 0.4 1.2
2002 0.2 -0.2 -0.7 -0.1 0.7 0.9 0.4 0.7 -0.1 -0.1 0.4 0.1 2.2
2003 -0.1 0 -0.1 0.1 0.1 0 -0.1 0 0.4 0.1 -0.9 0.2 -0.2
2004 1.2 0.1 0.5 -0.5 -0.1 0.6 0.5 0.8 -0.5 0.3 0 -0.7 2.2
2005 0.7 -0.2 0.9 0.1 0.9 0.4 0.1 0.4 -0.2 -0.2 -0.1 -0.1 2.7
2006 -0.3 -0.1 0.3 0.3 1.8 0 0.8 0.1 0.1 0.3 0.4 0.6 4.5
2007 0.3 -0.2 -0.1 0.4 -0.4 1.2 -0.3 0.9 -0.3 -1 0.5 1.5 2.3
2008 -0.3 -2.7 0.3 -0.2 -1.1 -0.4 0 0 5 -1.3 -1 -0.3 -2.3
2009 0.2 -0.7 -1.7 -0.9 -2.3 -0.1 -0.6 0.2 -0.4 -0.8 -0.5 -0.3 -7.6
2010 0.1 0 0.6 0.1 0.4 0 -0.1 -0.3 0.5 0.1 -1.9 1.9 1.4
2011 0.2 0.1 0 0.2 0.1 0.9 1.8 -0.2 0.8 0.3 -0.1 -0.5 3.6
2012 0.5 0.8 0.1 0.7 0.6 1.1 0.1 -0.1 1.2 0 0.1 0.4 5.7
2013 0.5 0.6 -0.1 0.3 -1.9 0.5 -0.6 -0.4 0.4 -0.9 0 -0.1 -1.7
2014 0.9 0.1 -0.5 0.4 -0.1 0 0 -0.1 0.7 -0.2 0.4 -0.3 1.4
2015 0.2 0.3 0.1 -0.5 0.7 0.3 0.5 0.3 0.4 0.1 0.3 0.1 2.9
2016 0.6 0.3 0 0.3 1.2 0.6 -0.1 -0.3 -0.1 -0.2 -1 0.7 2.1
2017 -0.1 -0.4 -0.1 -0.1 -0.3 0.2 1.3 0.1 0 -0.1 0.3 0.5 1.4
2018 -0.1 -0.1 0.4 0.4 0.4 0.9 0.4 0.3 0.1 -0.7 -0.1 0.6 2.8
2019 0.1 0 0.3 0.6 0.1 0.5 0.4 0.1 1 -0.1 -0.4 0.7 3.2
2020 0.4 -2.2 -2.8 0.6 0.2 0.9 1 0.4 0.4 -0.2 -1 -0.3 -2.6
2021 0.2 1.1 -0.1 NA NA NA NA NA NA NA NA NA 1.2

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart